Value-at-risk models face neglect due to FRTB uncertainty
Some banks delaying material upgrades until timeline to replace VAR becomes clearer
Like tomorrow, new market risk capital rules for banks always seem to be one day away. The repeated delays have left bankers with a headache over what to do with their existing market risk management framework, because they can’t predict exactly when it will be replaced.
The problem is particularly acute in the European Union, where the new rules have been completed and are scheduled to come into
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Regulation
One thing missing from US Basel III proposal: a deadline
Without a deadline, risk teams will struggle to secure resources to begin implementation projects
In simplifying credit risk models, EBA could compound capital costs
Skipping hard yards of internal ratings-based approach might trip higher capital charges and implementation costs
Change fatigue could dim EBA’s credit risk simplicity drive
Revisions may be kept to a minimum as short-term implementation burden weighs on banks
Foreign banks can swerve US Basel op risk capital charges
New proposal offers category III and IV banks op-out from regime, but intragroup trades penalised
BoE’s Bailey expects global consensus on FRTB internal models
Isda AGM: UK is reviewing proposals from US and EU regulators before finalising its IMA rules
DRW chief slams ‘ridiculous’ OCC stablecoin rule
Isda AGM: Wilson warns week-long redemption freeze would deter use of Genius Act coins as cash leg of tokenised repo
Dealers push for more revisions to Basel III endgame
Isda AGM: Goldman, JP Morgan bankers want changes on cross-product netting, CVA and default risk charges
StanChart: UK, EU should copy US ‘commercial’ Basel III
Isda AGM: Exec warns divergent Basel III rules will push trading into less-regulated entities
